ISyE Seminar Series: Uday V. Shanbhag
"Smoothing-enabled Zeroth-order Schemes for Stochastic Optimization Problems: Addressing Stochasticity, Nonsmoothness, Nonconvexity, and Hierarchy"
Uday V. Shanbhag
Professor in the Department of Industrial and Operations Engineering
University of Michigan at Ann Arbor
About the Seminar:
Zeroth-order methods in optimization rely on utilizing function-value information in developing convergent algorithms in optimization settings. Such schemes are motivated by the challenges in computing gradients or gradient estimators. We begin by examining unstructured nonsmooth and nonconvex stochastic optimization problems. By leveraging spherical smoothing, we derive complexity guarantees for computing approximate Clarke-stationary points for both stochastic (smoothed) gradient and quasi-Newton schemes. We then show that such avenues can be extended towards resolving a class of challenging hierarchical stochastic optimization problems (called stochastic Mathematical Programs with Equilibrium Constraints (MPEC)), a class of problems that subsumes subclasses of stochastic bilevel optimization problems and stochastic Stackelberg equilibrium problems. In the last part of the talk, we provide a foundation for an exponentially shifted Gaussian smoothing estimator (es-GS) that allows for significantly improved dimension-dependence. We observe that this estimator leads to improved dimension dependence in complexity guarantees for zeroth-order schemes and their accelerated counterparts. Time permitting, we also review some recent extensions of these avenues to federated learning (FL) in nonconvex and hierarchical settings.
About the Speaker:
Uday V. Shanbhag has been a Professor in the department of Industrial and Operations Engineering at the University of Michigan at Ann Arbor since Fall, 2024. From November 2016 to June 2024, he held the Gary and Sheila Chaired Professorship in the department of Industrial and Manufacturing Engineering (IME) at the Pennsylvania State University. Prior to being at Penn. State, from 2006–2012, he was first an assistant professor, and subsequently a tenured associate professor at the University of Illinois at Urbana-Champaign (UIUC). Uday V. Shanbhag has a Ph.D. from Stanford University’s department of Management Science and Engineering (2006). His research honors include the triennial A.W. Tucker Prize by the mathematical programming society (MPS) in 2006, the NCSA Faculty Fellowship in 2006, the Computational Optimization and Applications (COAP) best paper award (with advisor Walter Murray) in 2007, and the best theoretical paper award in the Winter Simulation Conference (WSC) in 2013 (with Angelia Nedich and Farzad Yousefian). His research has been supported by the NSF (including the NSF Career Award), DOE-ASCR, DOE-ARPA-E, AFOSR, and ONR. He currently serves as an Associate Editor (AE) for the SIAM Journal of Optimization and Computational Optimization and Applications, having served as a past AE for the IEEE Transactions on Automatic Control.
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